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nym21
2026-03-03 09:51:31 +01:00
parent 35df8d99dc
commit 28f6b0f18b
6 changed files with 49 additions and 137 deletions
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66
crates/brk_computer/src/distribution/metrics/realized/adjusted.rs
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@@ -1,11 +1,11 @@
use brk_error::Result;
use brk_traversable::Traversable;
use brk_types::{Cents, Height, StoredF64, Version};
use vecdb::{Exit, Ident, ReadableCloneableVec, ReadableVec, Rw, StorageMode};
use vecdb::{Exit, ReadableVec, Rw, StorageMode};
use crate::{
ComputeIndexes, blocks,
internal::{ComputedFromHeight, LazyFromHeight, RatioCents64, RollingWindows},
internal::{ComputedFromHeight, RatioCents64, RollingEmas7d30d, RollingWindows},
};
use crate::distribution::metrics::ImportConfig;
@@ -23,10 +23,7 @@ pub struct RealizedAdjusted<M: StorageMode = Rw> {
// === Adjusted SOPR (rolling window ratios) ===
pub adjusted_sopr: RollingWindows<StoredF64, M>,
pub adjusted_sopr_24h_7d_ema: ComputedFromHeight<StoredF64, M>,
pub adjusted_sopr_7d_ema: LazyFromHeight<StoredF64>,
pub adjusted_sopr_24h_30d_ema: ComputedFromHeight<StoredF64, M>,
pub adjusted_sopr_30d_ema: LazyFromHeight<StoredF64>,
pub adjusted_sopr_ema: RollingEmas7d30d<StoredF64, M>,
}
impl RealizedAdjusted {
@@ -55,32 +52,9 @@ impl RealizedAdjusted {
let adjusted_sopr = RollingWindows::forced_import(
cfg.db, &cfg.name("adjusted_sopr"), cfg.version + v1, cfg.indexes,
)?;
macro_rules! import_computed {
($name:expr) => {
ComputedFromHeight::forced_import(
cfg.db,
&cfg.name($name),
cfg.version + v1,
cfg.indexes,
)?
};
}
let adjusted_sopr_24h_7d_ema = import_computed!("adjusted_sopr_24h_7d_ema");
let adjusted_sopr_7d_ema = LazyFromHeight::from_computed::<Ident>(
&cfg.name("adjusted_sopr_7d_ema"),
cfg.version + v1,
adjusted_sopr_24h_7d_ema.height.read_only_boxed_clone(),
&adjusted_sopr_24h_7d_ema,
);
let adjusted_sopr_24h_30d_ema = import_computed!("adjusted_sopr_24h_30d_ema");
let adjusted_sopr_30d_ema = LazyFromHeight::from_computed::<Ident>(
&cfg.name("adjusted_sopr_30d_ema"),
cfg.version + v1,
adjusted_sopr_24h_30d_ema.height.read_only_boxed_clone(),
&adjusted_sopr_24h_30d_ema,
);
let adjusted_sopr_ema = RollingEmas7d30d::forced_import(
cfg.db, &cfg.name("adjusted_sopr_24h"), cfg.version + v1, cfg.indexes,
)?;
Ok(RealizedAdjusted {
adjusted_value_created,
@@ -88,10 +62,7 @@ impl RealizedAdjusted {
adjusted_value_created_sum,
adjusted_value_destroyed_sum,
adjusted_sopr,
adjusted_sopr_24h_7d_ema,
adjusted_sopr_7d_ema,
adjusted_sopr_24h_30d_ema,
adjusted_sopr_30d_ema,
adjusted_sopr_ema,
})
}
@@ -140,22 +111,13 @@ impl RealizedAdjusted {
}
// Adjusted SOPR EMAs (based on 24h window)
self.adjusted_sopr_24h_7d_ema
.height
.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.adjusted_sopr._24h.height,
exit,
)?;
self.adjusted_sopr_24h_30d_ema
.height
.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1m_ago,
&self.adjusted_sopr._24h.height,
exit,
)?;
self.adjusted_sopr_ema.compute_from_24h(
starting_indexes.height,
&blocks.count.height_1w_ago,
&blocks.count.height_1m_ago,
&self.adjusted_sopr._24h.height,
exit,
)?;
Ok(())
}

106
crates/brk_computer/src/distribution/metrics/realized/base.rs
View File

@@ -4,7 +4,7 @@ use brk_types::{
Bitcoin, Cents, CentsSats, CentsSigned, CentsSquaredSats, Dollars, Height, Sats, StoredF32, StoredF64, Version,
};
use vecdb::{
AnyStoredVec, AnyVec, BytesVec, Exit, Ident, ImportableVec, ReadableCloneableVec,
AnyStoredVec, AnyVec, BytesVec, Exit, ImportableVec, ReadableCloneableVec,
ReadableVec, Rw, StorageMode, WritableVec,
};
@@ -15,7 +15,7 @@ use crate::{
CentsPlus, CentsUnsignedToDollars, ComputedFromHeightCumulative, ComputedFromHeight,
ComputedFromHeightRatio, NegCentsUnsignedToDollars, ValueFromHeightCumulative, LazyFromHeight,
PercentageCentsF32, PercentageCentsSignedCentsF32, PercentageCentsSignedDollarsF32, Price, RatioCents64,
RollingWindows, Identity, ValueFromHeight,
RollingEmas7d30d, RollingWindows, Identity, ValueFromHeight,
},
prices,
};
@@ -85,18 +85,12 @@ pub struct RealizedBase<M: StorageMode = Rw> {
// === SOPR (rolling window ratios) ===
pub sopr: RollingWindows<StoredF64, M>,
pub sopr_24h_7d_ema: ComputedFromHeight<StoredF64, M>,
pub sopr_7d_ema: LazyFromHeight<StoredF64>,
pub sopr_24h_30d_ema: ComputedFromHeight<StoredF64, M>,
pub sopr_30d_ema: LazyFromHeight<StoredF64>,
pub sopr_ema: RollingEmas7d30d<StoredF64, M>,
// === Sell Side Risk ===
pub realized_value_sum: RollingWindows<Cents, M>,
pub sell_side_risk_ratio: RollingWindows<StoredF32, M>,
pub sell_side_risk_ratio_24h_7d_ema: ComputedFromHeight<StoredF32, M>,
pub sell_side_risk_ratio_7d_ema: LazyFromHeight<StoredF32>,
pub sell_side_risk_ratio_24h_30d_ema: ComputedFromHeight<StoredF32, M>,
pub sell_side_risk_ratio_30d_ema: LazyFromHeight<StoredF32>,
pub sell_side_risk_ratio_ema: RollingEmas7d30d<StoredF32, M>,
// === Net Realized PnL Deltas ===
pub net_realized_pnl_cumulative_30d_delta: ComputedFromHeight<CentsSigned, M>,
@@ -349,51 +343,13 @@ impl RealizedBase {
cfg.db, &cfg.name("sell_side_risk_ratio"), cfg.version + v1, cfg.indexes,
)?;
// === EMA imports + identity aliases ===
macro_rules! import_computed {
($name:expr) => {
ComputedFromHeight::forced_import(
cfg.db,
&cfg.name($name),
cfg.version + v1,
cfg.indexes,
)?
};
}
let sopr_24h_7d_ema = import_computed!("sopr_24h_7d_ema");
let sopr_7d_ema = LazyFromHeight::from_computed::<Ident>(
&cfg.name("sopr_7d_ema"),
cfg.version + v1,
sopr_24h_7d_ema.height.read_only_boxed_clone(),
&sopr_24h_7d_ema,
);
let sopr_24h_30d_ema = import_computed!("sopr_24h_30d_ema");
let sopr_30d_ema = LazyFromHeight::from_computed::<Ident>(
&cfg.name("sopr_30d_ema"),
cfg.version + v1,
sopr_24h_30d_ema.height.read_only_boxed_clone(),
&sopr_24h_30d_ema,
);
let sell_side_risk_ratio_24h_7d_ema = import_computed!("sell_side_risk_ratio_24h_7d_ema");
let sell_side_risk_ratio_7d_ema = LazyFromHeight::from_computed::<Ident>(
&cfg.name("sell_side_risk_ratio_7d_ema"),
cfg.version + v1,
sell_side_risk_ratio_24h_7d_ema
.height
.read_only_boxed_clone(),
&sell_side_risk_ratio_24h_7d_ema,
);
let sell_side_risk_ratio_24h_30d_ema = import_computed!("sell_side_risk_ratio_24h_30d_ema");
let sell_side_risk_ratio_30d_ema = LazyFromHeight::from_computed::<Ident>(
&cfg.name("sell_side_risk_ratio_30d_ema"),
cfg.version + v1,
sell_side_risk_ratio_24h_30d_ema
.height
.read_only_boxed_clone(),
&sell_side_risk_ratio_24h_30d_ema,
);
// === EMA imports ===
let sopr_ema = RollingEmas7d30d::forced_import(
cfg.db, &cfg.name("sopr_24h"), cfg.version + v1, cfg.indexes,
)?;
let sell_side_risk_ratio_ema = RollingEmas7d30d::forced_import(
cfg.db, &cfg.name("sell_side_risk_ratio_24h"), cfg.version + v1, cfg.indexes,
)?;
let peak_regret_rel_to_realized_cap = ComputedFromHeight::forced_import(
cfg.db,
@@ -443,16 +399,10 @@ impl RealizedBase {
value_created_sum,
value_destroyed_sum,
sopr,
sopr_24h_7d_ema,
sopr_7d_ema,
sopr_24h_30d_ema,
sopr_30d_ema,
sopr_ema,
realized_value_sum,
sell_side_risk_ratio,
sell_side_risk_ratio_24h_7d_ema,
sell_side_risk_ratio_7d_ema,
sell_side_risk_ratio_24h_30d_ema,
sell_side_risk_ratio_30d_ema,
sell_side_risk_ratio_ema,
net_realized_pnl_cumulative_30d_delta: ComputedFromHeight::forced_import(
cfg.db,
&cfg.name("net_realized_pnl_cumulative_30d_delta"),
@@ -939,36 +889,22 @@ impl RealizedBase {
)?;
// SOPR EMAs (based on 24h window)
self.sopr_24h_7d_ema.height.compute_rolling_ema(
self.sopr_ema.compute_from_24h(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.sopr._24h.height,
exit,
)?;
self.sopr_24h_30d_ema.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1m_ago,
&self.sopr._24h.height,
exit,
)?;
// Sell side risk EMAs (based on 24h window)
self.sell_side_risk_ratio_24h_7d_ema
.height
.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.sell_side_risk_ratio._24h.height,
exit,
)?;
self.sell_side_risk_ratio_24h_30d_ema
.height
.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1m_ago,
&self.sell_side_risk_ratio._24h.height,
exit,
)?;
self.sell_side_risk_ratio_ema.compute_from_24h(
starting_indexes.height,
&blocks.count.height_1w_ago,
&blocks.count.height_1m_ago,
&self.sell_side_risk_ratio._24h.height,
exit,
)?;
// Realized profit/loss/net relative to realized cap
self.realized_profit_rel_to_realized_cap

5
crates/brk_computer/src/internal/emas/mod.rs Normal file
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@@ -0,0 +1,5 @@
mod _14d;
mod _7d_30d;
pub use _14d::*;
pub use _7d_30d::*;

2
crates/brk_computer/src/internal/mod.rs
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@@ -1,6 +1,7 @@
mod compute;
mod distribution_stats;
mod eager_indexes;
mod emas;
mod from_height;
mod from_tx;
mod group;
@@ -21,6 +22,7 @@ mod windows;
pub(crate) use compute::*;
pub(crate) use distribution_stats::*;
pub(crate) use eager_indexes::*;
pub(crate) use emas::*;
pub(crate) use from_height::*;
pub(crate) use from_tx::*;
pub(crate) use group::*;

5
crates/brk_computer/src/internal/rolling/emas/mod.rs Normal file
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@@ -0,0 +1,5 @@
mod _14d;
mod _7d_30d;
pub use _14d::*;
pub use _7d_30d::*;

2
crates/brk_computer/src/internal/rolling/mod.rs
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@@ -1,9 +1,11 @@
mod distribution;
mod emas;
mod full;
mod value_windows;
mod windows;
pub use distribution::*;
pub use emas::*;
pub use full::*;
pub use value_windows::*;
pub use windows::*;